I'm trying to find info about asian swaps on oil/energy products and about their pricing methods. However, all I could find are on asian options. Would be glad if you can provide me with some documents about it.
In an Asian-style swap, instead of using the last price quote of the underlying (such as commodity price), they take an average, such as the average closing price over the last month. This is fairly common in commodity swaps.
As for pricing, a good start is this paper on pricing Asian-style interest rate swaps (where the floating leg uses the average of an index): https://doi.org/10.3905/jod.2002.319185 Chang and Chung, The Journal of Derivatives, 2002.
Afterwards look at Chance and Brooks, An Introduction to Derivatives and Risk Management, chapter 9, for a good discussion of pricing commodity Asian-style swap.
Just my 2cts' worth: With commodity swaps exchanging typically a daily spot price (i,e, immediate delivery price) vs a fixed rate payable in regular intervals, the only difference to a truly Asian product is that discount factors are not perfectly equal to unity. So while rates are not high or tenors very long, regular commodity swaps would be pretty close to being Asian swaps.
Only just saw this. Commodity swaps are very simple products. For each averaging period, they will pay off the notional for the period multiplied with the difference between the strike and the average of some reference contract.
The thing that's a little hard is knowing what the conventions are for how the reference price is determined. For example, for WTI swaps, one takes the first nearby future contract. For Brent, it's the same, except one rolls to the next contract one day before expiry already. For natural gas, one actually doesn't take the average. For some other products, it could be weekly. On top of that, for spreads between two products, you might have to apply a conversion factor if they are quoted in different units (e.g. from Gasoil (in MT) to Brent (bbl) it's 7.45 if memory serves me right).
In terms of pricing, the above is all very simple if you have a price model for the underlying reference contract. When such a price depends on a spot price, you could need a model for that as well, but for most swaps you can actually just get the price from traded contracts. For the more complex swaps, you might be able to imply prices by combining a few different spread prices together, but again that's fairly obvious.
Finally, if it's more the management of these contracts that you're concerned about, the asianing implies that you need to buy/sell some of the underling reference contract at each fixing, but again that's rather straight forward to figure out. If you have any more detailed questions on a specific topic, let me know.